BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
分析了当真实数据生成过程是围绕一个带断点的线性趋势平稳时，迪基-富勒t检验的极限行为，分别考虑水平突变和斜率突变，并通过模拟验证了渐近理论对实际样本量和突变大小的预测价值。
This paper analyzes the limiting behavior of Dickey–Fuller t -tests when the true generating model is stationary around a broken linear trend. The cases of a break in level and a break in slope are considered separately and found to generate qualitatively different outcomes. In the asymptotic analysis, appropriate normalizations are applied to the break sizes. This leads to theoretical results that generate interesting predictions for sample sizes and break amounts of practical interest. Simulation evidence confirms the value of this approach to an asymptotic theory.